WWW Options History — November 2009

In November 2009, WWW traded between $12.60 and $13.89. ATM implied volatility averaged 31.4%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 9.4% (HV 20d: 40.9%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 11.39.

Notable Days

  • 2009-11-18: Highest Volume — 1,090 contracts
  • 2009-11-09: Largest IV drop — 24.9% change
  • 2009-11-06: Highest IV Rank — 13.4%
  • 2009-11-03: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.24$12.60$13.89$12.79$12.79
Max Pain$11.50$11.25$12.50$12.50$11.25
ATM IV31.4%26.1%36.2%31.5%33.8%
Expected Move9.2%7.6%9.9%9.0%9.7%
HV 20d40.9%32.1%44.6%35.7%42.7%
HV 60d38.0%33.5%39.8%33.5%39.5%
IV Rank7.2%0.2%13.4%7.2%10.3%
IV Percentile12.3%0.4%24.2%9.9%22.2%
Term Structure3.3%-0.8%15.8%-0.8%-0.4%
VWIV31.3%19.6%40.2%35.0%31.1%
Skew 25d2.9%-7.5%16.0%-7.5%1.5%
Skew 10d2.3%-12.0%36.1%-12.0%-0.5%
Call IV 25d28.5%17.5%35.1%32.7%29.4%
Put IV 25d31.5%22.7%34.5%25.3%30.9%
Bid-Ask Spread %34.8013.3691.4333.5726.26
Gamma HHI0.490.450.670.670.45
Net GEX43.7K32.5K58.4K38.6K40.6K
Net DEX-1.1M-1.8M-325.6K-867.9K-325.6K
Net VEX-7.5K-10.9K-3.8K-3.8K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.390.0071.500.150.50
Total Volume131.501,090460
Total OI3,438.32,1524,4942,1524,300

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$12.79$12.5031.5%9.0%35.7%7.2%0.0%-7.5%-0.8%38.6K-867.9K-3.8K0.1533.57N/AN/A4061,568584
2009-11-03$12.97$12.5034.6%9.9%34.9%11.4%35.0%3.7%-0.7%37.3K-929.4K-3.9K0.0027.22N/AN/A01321,608584
2009-11-04$12.60$12.5033.4%9.6%32.1%9.7%0.0%-4.1%0.0%34.0K-711.1K-4.1K0.0091.43N/AN/A4001,608716
2009-11-05$13.61$12.5034.0%9.8%38.4%10.6%40.2%4.1%8.3%35.0K-1.3M-4.1K0.0469.78N/AN/A742321,648716
2009-11-06$13.46$11.2536.2%9.5%38.5%13.4%0.0%0.9%0.9%51.8K-1.5M-6.5K0.0015.61N/AN/A2002,334736
2009-11-09$13.89$11.2527.2%8.7%39.5%1.6%0.0%2.8%1.4%58.4K-1.8M-6.0K0.0032.65N/AN/A4002,338736
2009-11-10$13.70$11.2528.6%9.1%39.8%3.5%0.0%0.5%2.7%54.6K-1.7M-6.4K0.0036.15N/AN/A0402,378736
2009-11-11$13.53$11.2526.1%9.7%40.0%0.2%0.0%2.1%-0.0%53.6K-1.6M-6.4K20.0032.75N/AN/A2402,378776
2009-11-12$13.07$11.2532.0%9.2%41.7%7.9%0.0%-1.9%7.2%48.1K-1.3M-6.6K71.5080.58N/AN/A42862,380816
2009-11-13$13.31$11.2531.6%9.1%42.3%7.4%0.0%-0.4%4.8%52.2K-1.3M-7.1K0.0029.84N/AN/A002,3801,054
2009-11-16$13.85$11.2529.9%8.6%44.4%5.2%30.8%3.5%2.6%47.9K-1.7M-7.1K0.0018.69N/AN/A1202,3801,054
2009-11-17$13.54$11.2531.8%9.1%44.6%7.6%0.0%-1.0%6.7%49.3K-1.5M-7.0K0.0030.87N/AN/A1402,3781,054
2009-11-18$13.47$11.2526.4%7.6%43.4%0.7%19.6%16.0%15.8%48.4K-1.4M-7.1K33.0642.83N/AN/A321,0582,3841,054
2009-11-19$13.04$11.2530.6%8.8%44.0%6.1%0.0%6.6%7.3%32.5K-636.0K-10.9K0.0017.55N/AN/A002,3962,098
2009-11-20$13.20$11.2533.4%9.6%43.2%9.8%0.0%10.4%4.7%35.0K-675.2K-10.8K0.0028.13N/AN/A002,3962,098
2009-11-23$13.20$11.2532.3%9.3%43.2%8.4%0.0%9.2%2.1%37.5K-737.5K-10.7K0.0013.36N/AN/A002,2881,962
2009-11-24$13.04$11.2531.1%8.9%43.5%6.7%31.1%4.9%0.1%41.7K-592.4K-10.6K0.5015.73N/AN/A60302,2881,962
2009-11-25$13.05$11.2531.1%8.9%42.3%6.8%0.0%4.8%0.9%37.6K-614.9K-10.5K0.0023.71N/AN/A002,3081,992
2009-11-27$12.78$11.2532.6%9.3%42.8%8.6%0.0%2.8%2.5%39.4K-386.7K-10.4K0.0029.39N/AN/A002,3081,992
2009-11-30$12.79$11.2533.8%9.7%42.7%10.3%0.0%1.5%-0.4%40.6K-325.6K-10.1K0.0026.26N/AN/A002,3081,992